A person who is intelligent and able to understand the philosophy of Kṛṣṇa consciousness naturally gives up everything and takes to the shelter of Kṛṣṇa. In this regard, Lord Caitanya recites a verse spoken by Uddhava in Śrīmad-Bhāgavatam (3.2.23): "How can one take shelter of anyone but Kṛṣṇa? He is so kind. Even though Bakāsura's sister planned to kill Kṛṣṇa when He was an infant by applying poison to her breast and offering it to Kṛṣṇa to suck and thus die, still that heinous woman received salvation and was elevated to the same platform as Kṛṣṇa's own mother." This verse refers to the time when Pūtanā planned to kill Kṛṣṇa. Kṛṣṇa accepted the poisonous breasts of that demonic woman, and when He sucked the milk from her, He sucked out her life also. Nonetheless Pūtanā was elevated to the same position as Kṛṣṇa's own mother.
(Teachings of Lord Caitanya).

Lastly, one should always think of himself as the most fallen among souls so that Kṛṣṇa will take care of him. Such a surrendered soul should take shelter of a holy place like Vṛndāvana, Mathurā, Dvārakā, Māyāpur, etc., and should surrender himself unto the Lord, saying, "My Lord, from today I am Yours. You can protect me or kill me as You like." A pure devotee takes shelter of Kṛṣṇa in such a way, and Kṛṣṇa is so grateful that He accepts him and gives him all kinds of protection. This is confirmed in Śrīmad-Bhāgavatam (11.29.34) where it is said that if a person who is about to die takes full shelter of the Supreme Lord and places himself fully under His care, he actually attains immortality and becomes eligible to associate with the Supreme Lord and enjoy transcendental bliss.
(Teachings of Lord Caitanya).

Liberation is like a state of convalescence, in which one is free from a fever but is still not healthy. Even in the stage of convalescence, if one is not very careful, one may have a relapse. Similarly, liberation does not offer as much security as the shelter of the lotus feet of Kṛṣṇa. It is stated in the śāstra:
ye ‘nye ‘ravindākṣa vimukta-māninas
tvayy asta-bhāvād aviśuddha-buddhayaḥ
āruhya kṛcchreṇa paraṁ padaṁ tataḥ
patanty adho ‘nādṛta-yuṣmad-aṅghrayaḥ
“O Lord, the intelligence of those who think themselves liberated but who have no devotion is impure. Even though they rise to the highest point of liberation by dint of severe penances and austerities, they are sure to fall down again into material existence, for they do not take shelter at Your lotus feet.” (Śrīmad-Bhāgavatam 10.2.32) Yuṣmad-aṅghrayaḥ refers to the lotus feet of Kṛṣṇa. If one does not take shelter of Kṛṣṇa’s lotus feet, he falls down (patanty adhaḥ), even from liberation. The Hare Kṛṣṇa mahā-mantra, however, gives liberation and at the same time offers shelter at the lotus feet of Kṛṣṇa. If one takes shelter at the lotus feet of Kṛṣṇa after liberation, he develops his dormant ecstatic love for Kṛṣṇa. That is the highest perfection of life.
(Sri Caitanya Caritamrta----3:3:257----purport).

The best course is to seek shelter of Kṛṣṇa, the Supreme Personality of Godhead, and be saved from the struggle for existence in this material world, in which one repeatedly takes birth and dies.
(Srimad Bhagavatam----8:2:33----purport).

If one takes shelter of Kṛṣṇa without hesitation and keeps under the shelter of Kṛṣṇa, he can easily cross the ocean of nescience.
(Srimad Bhagavatam----7:15:68----purport).

The mind is always agitated by acceptance and rejection, which are compared to mental waves that are constantly tossing. The living entity is floating in the waves of material existence because of his forgetfulness. Śrīla Bhaktivinoda Ṭhākura has therefore sung in his Gītāvalī: miche māyāra vaśe, yāccha bhese', khāccha hābuḍubu, bhāi. "My dear mind, under the influence of māyā you are being carried away by the waves of rejection and acceptance. Simply take shelter of Kṛṣṇa." Jīva kṛṣṇa-dāsa, ei viśvāsa, karle ta' āra duḥkha nāi: if we simply regard the lotus feet of Kṛṣṇa as our ultimate shelter, we shall be saved from all these waves of māyā, which are variously exhibited as mental and sensual activities and the agitation of rejection and acceptance.
(Srimad Bhagavatam----7:15:53----purport).

The process of devotional service is so strong that the pure devotee of the Supreme Lord can enable people of all the lower classes to attain the highest perfection of life. This is possible only when one takes shelter of Kṛṣṇa.
(Bhagavad-Gita----9:32----purport).

Kṛṣṇa is the ultimate goal of shelter, and therefore one should take shelter of Kṛṣṇa either for protection or for annihilation of his distress.
(Bhagavad-Gita----9:18----purport).